If you want to get involved with a little light coding, you'll have to download Terminal Emulator from the Play Store.
Open it up and it looks and behaves like a Windows Command form. See if the command symlink is able to help you to redirect the downloads folder to the SdCard.
It's worth remembering that not all Apps can live on the SdCard. Many have to be kept in the system folders and the device manufacturer and your Service Provider wll also have prevented you from doing that.
SdCards are better used for your personal data - photos, music, etc. - so you can take it out and back it up on a PC frequently.